Econometric Analysis of Realised Covariation: High Frequency Covariance, Regression and Correlation in Financial Economics

Preprint OPEN
Ole E. Barndorff-Nielsen; Neil Shephard;
(2001)
  • Subject: Power variation; Realised correlation; Realised covolatility; Realised regression; Realised variance; Semimartingales; Covolatility
    arxiv: Statistics::Methodology

This paper analyses multivariate high frequency financial data using realised covariation. We provide a new asymptotic distribution theory for standard methods such as regression, correlation analysis and covariance. It will be based on a fixed interval of time (e.g. a ... View more
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